Wearable audio output devices having noise cancelling capabilities have steadily increased in popularity. Modern headphones with ANR (sometimes referred to as active noise cancelling (ANC)) capabilities attenuate most sounds external to the headphones to provide an immersive audio experience to the user. However, a user may want to selectively set a level of attenuation of external sounds based on a user's environment and/or an activity being performed by the user. For instance, there may be certain situations when a user wearing the headphones with ANR turned on and may want to or need to hear certain external sounds for more situational awareness. On the other hand, there may be situations when the user may want the ANR to be set to a high level to attenuate most external sounds. While most ANR audio devices allow the user to manually turn on or turn off ANR, or even set a level of the ANR, there is a need for improvement for allowing a user to make an informed decision for setting a level of ANR.